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Details about Roman Kozhan

E-mail:
Homepage:http://homepages.warwick.ac.uk/staff/R.Kozhan/
Workplace:Finance Group, Warwick Business School, University of Warwick, (more information at EDIRC)

Access statistics for papers by Roman Kozhan.

Last updated 2014-08-20. Update your information in the RePEc Author Service.

Short-id: pko674


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Working Papers

2014

  1. Optimal Security Design under Asymmetric Information and Profit Manipulation
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (1)
  2. Toxic Arbitrage
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (23)

2006

  1. Multiple Priors And No-Transaction Region
    Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe Downloads View citations (2)

Journal Articles

2013

  1. The Skew Risk Premium in the Equity Index Market
    Review of Financial Studies, 2013, 26, (9), 2174-2203 Downloads View citations (60)

2012

  1. Execution Risk in High-Frequency Arbitrage
    Management Science, 2012, 58, (11), 2131-2149 Downloads View citations (22)
  2. The information content of a limit order book: The case of an FX market
    Journal of Financial Markets, 2012, 15, (1), 1-28 Downloads View citations (11)

2011

  1. Non-additive anonymous games
    International Journal of Game Theory, 2011, 40, (2), 215-230 Downloads

2010

  1. Asymmetric Momentum Effects Under Uncertainty
    Review of Finance, 2010, 15, (3), 603-631 Downloads View citations (6)
  2. Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
    Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 Downloads View citations (1)

2009

  1. Asset allocation with distorted beliefs and transaction costs
    European Journal of Operational Research, 2009, 194, (1), 236-249 Downloads View citations (3)
  2. Firms' investment under financial constraints: a euro area investigation
    Applied Financial Economics, 2009, 19, (20), 1611-1624 Downloads View citations (4)
  3. Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
    Journal of Economic Dynamics and Control, 2009, 33, (5), 1106-1122 Downloads View citations (9)

2008

  1. Nash equilibria for games in capacities
    Economic Theory, 2008, 35, (2), 321-331 Downloads View citations (4)
 
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